Portfolio & Risk · Construct and monitor
What the portfolio owns, as opposed to what it holds.
Bring positions together, decompose risk against a benchmark into factor and security-specific parts, attribute returns, and test the book against historical and hypothetical scenarios.
Factor model
PORT| Factor | Group | Captures |
|---|---|---|
| Market | Market | Broad equity market exposure |
| Size | Style | Small versus large capitalisation |
| Value | Style | Value versus growth |
| Momentum | Style | Recent winners versus the market |
| Quality | Style | Profitability and balance-sheet strength |
| Low Volatility | Style | Defensive, low-volatility names |
| Industry | Industry | Sector exposures, chosen from the holdings |
| Developed ex-US | Country | International developed markets |
| Emerging Markets | Country | Emerging-market exposure |
| US Dollar | Currency | Dollar strength |
Every security and the benchmark are estimated on the same factors. What the factors do not explain is security-specific risk, and the contributions add back exactly to tracking error.
Stress scenarios
RISK| Scenario | Shocks applied |
|---|---|
| 2020 COVID Crash | US equities -34% · Long Treasuries +8% · Gold -2% |
| 2022 Rate Hike Regime | US equities -19% · Long Treasuries -31% · Gold -1% |
| 2008 GFC | US equities -55% · Long Treasuries +25% · Gold +5% |
| +200bps Rate Shock | US equities -15% · Long Treasuries -20% · Gold -5% |
| Tech Selloff -30% | Nasdaq 100 -30% · US equities -18% · Long Treasuries +5% |
| USD Spike +10% | Emerging markets -15% · Gold -8% · Oil -10% |
| Soft Landing Rally | US equities +15% · Long Treasuries +8% · Gold -3% |
Every scenario runs against the whole book in one click, long and short positions included.
Questions it answers
What a desk asks of it.
- Where does the tracking error come from: market, style, industry, country or currency?
- Which positions drove today's active return against the benchmark?
- What is the one-day VaR and expected shortfall, by parametric and historical method?
- What happens to the book in a 2022-style rate shock or a 2020-style crash?
What it includes
The modules in Portfolio & Risk.
Each one is a working window in the terminal, opened by the code shown.
- PORT
Portfolio & Risk Analytics
Benchmark-relative risk model: active exposures to market, style, industry, country and currency factors, contribution to tracking error by factor and by security, and position-level return attribution against the benchmark.
- RISK
Risk Dashboard
Parametric and historical VaR, expected shortfall, maximum drawdown and a correlation matrix, with seven historical and hypothetical stress scenarios.
- PC
Portfolio Command
Positions, gross and net exposure, long and short books, net beta, contributors and detractors, and a sizing engine.
- ALRT
Alerts
Rules on price, drawdown, fundamental score and macro regime change.
- TJ
Trade Journal
A record of trades with their thesis and invalidation level, and the statistics of the book's decisions.
- FND
Fund Analyzer
ETF and fund analysis: holdings, documents, side-by-side comparison and a data-quality check.
Method
How the output is built.
- A transparent factor model
- Market, style, industry, country and currency factors, estimated on the same basis for every security and the benchmark. Contributions add back exactly to tracking error.
- Two VaR methods, side by side
- Parametric and historical-simulation VaR are reported together with expected shortfall, so tail risk stands out immediately.
- Scenarios you can read
- Every stress scenario shows the shocks it applies, so the result can be explained to a committee line by line.
What your team gets
The outcome, not the feature list.
- Tracking error explained by factor and by position, not reported as one number.
- Every book stress-tested against the crises that matter, in seconds.
- The conditions that would change a view written down and monitored.
Used by
Next: Macro IntelligenceFamily Offices
Small investment teams that need institutional research coverage without a room full of terminals.
Asset Managers
Research and allocation teams that need point-in-time macro inputs and benchmark-relative risk.
Portfolio Managers
The daily loop: what changed, what the book is exposed to, and what would change the view.
Risk Teams
A second, transparent view of portfolio risk, with every method and assumption visible.
Request a demo
See it on your own questions.
A demo is a working session in the platform on a question you bring: a release, a company, a position or a portfolio. We reply within two business days.